Managing Director

Elan Gore

TMI Data Science

TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade & traditional media.  Our proprietary software, TMI Machine, is a text-mining platform designed with the buy-side & capital markets professional in mind, text-mining the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income & individual equities.  TMI provides custom leading indicators and systematic trading strategies, operating at the nexus of linguistics & statistics drawing on vast experience in investment banking and hedge fund settings in senior quantitative and fundamental roles.  

TMI Data Science was founded by Elan Gore, an award-winning Senior Global Basic Materials Equity Analyst & China Economist with 15 years of experience in North American hedge funds & institutional managers; and Alessandro Porrino, Ph.D., an Algorithmic Trading Analyst and Programmer with 10 years of front-office experience ranging from complex FX option pricing to auto-hedging strategies at Bank of America Merrill Lynch and Standard Chartered.  Mr. Gore holds an MBA in Finance from New York University Stern School of Business, and Mr. Porrino holds a Ph.D. in Systems Engineering from Brunel University London.

Cross Asset Strategy

<ul>
<li>After a tumultuous January, it's easy to forget the original negative reaction to Biden's January 14 unveiling of the $1.9tr USD stimulus plan on concerns over ambitious wealth redistribution policies</li>
<li>Our text-mining finds that sentiment on the stimulus package has surged to &gt; +2x STDEVs in recent days, driving the revival of cyclicals sentiment and the value-over-growth theme after a short pause</li>
<li>With Biden's $15/hr minimum wage proposal likely off the table at this stage, at least one potential source of worry has been removed for corporate America</li>
<li>In conjunction with the surge in sentiment, we see a record volume surge in coverage of infrastructure and clean energy themes ahead of Biden's much-anticipated additional $2tr stimulus bill expected later this month focusing on the long-term "Build Back Better" campaign theme of sustainable infrastructure and decarbonization investment</li>
<li>Despite disappointing non-farm payrolls, new alt-data points in the past week highlight a late-January surge in US job postings; in light of the crude oil recovery and deceleration in new COVID case growth, recent data points confirm the rotation trade had only paused momentarily in January</li>
</ul><div class="content-highlight">TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </div>


After a tumultuous January, it's easy to forget the original negative reaction to Biden's January 14 unveiling of the $1.9tr USD stimulus plan on concerns over ambitious wealth redistribution policies
Our text-mining finds that sentiment on the stimulus package has surged to &gt; +2x STDEVs in recent days, driving the revival of cyclicals sentiment and the value-over-growth theme after a short pause
With Biden's $15/hr minimum wage proposal likely off the table at this stage, at least one potential source of worry has been removed for corporate America
In conjunction with the surge in sentiment, we see a record volume surge in coverage of infrastructure and clean energy themes ahead of Biden's much-anticipated additional $2tr stimulus bill expected later this month focusing on the long-term "Build Back Better" campaign theme of sustainable infrastructure and decarbonization investment
Despite disappointing non-farm payrolls, new alt-data points in the past week highlight a late-January surge in US job postings; in light of the crude oil recovery and deceleration in new COVID case growth, recent data points confirm the rotation trade had only paused momentarily in January
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshot:  Sentiment Surge on Biden Stimulus - What a Difference 3 Weeks Make

<ul>
<li>Despite ongoing headlines on slow vaccine rollouts and potential vaccine shortages in the first 3 weeks of January, overall sentiment on vaccine rollouts appears to be improving on the margin and negative coverage of the slow rollout has stabilized; this appears to be loosely correlated with price moves in WTI</li>
<li>Coverage of the vaccine hesitancy issue has been slowing since December; recent survey data suggests that while some geographic disparities remain, the hesitancy rate is dropping across the board</li>
<li>While seemingly spurious, the multi-STDEV January spike in coverage of the slow vaccine rollout appeared to coincide with the peak in EUR/USD; this is also reflected in action in our Eurozone macro sentiment indicator</li>
<li>Data remains volatile, but the past week's early signs of decline in negative vaccine rollout coverage is encouraging; further confirmation would go a long way in boosting some of the reflation trades paused in January (for example, Global Materials down -5% since January 7, same as the value-over-growth trade) with positive implications for the expected magnitude and timing of the mobility recovery</li>
</ul><div class="content-highlight"><p>TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary tool text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macro, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </p></div>


Despite ongoing headlines on slow vaccine rollouts and potential vaccine shortages in the first 3 weeks of January, overall sentiment on vaccine rollouts appears to be improving on the margin and negative coverage of the slow rollout has stabilized; this appears to be loosely correlated with price moves in WTI
Coverage of the vaccine hesitancy issue has been slowing since December; recent survey data suggests that while some geographic disparities remain, the hesitancy rate is dropping across the board
While seemingly spurious, the multi-STDEV January spike in coverage of the slow vaccine rollout appeared to coincide with the peak in EUR/USD; this is also reflected in action in our Eurozone macro sentiment indicator
Data remains volatile, but the past week's early signs of decline in negative vaccine rollout coverage is encouraging; further confirmation would go a long way in boosting some of the reflation trades paused in January (for example, Global Materials down -5% since January 7, same as the value-over-growth trade) with positive implications for the expected magnitude and timing of the mobility recovery
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary tool text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macro, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshot:  Vaccine Sentiment Update - Early Signs of Improvement

<ul>
<li>We saw cyclical &amp; value sentiment melt-up into year end with one last boost from the Georgia Blue Wave; but a tough COVID winter with new mobility restrictions appears to be putting the rotation on hold</li>
<li>Surprisingly, last week USD shorts increased to levels last seen in September, positioning for further progress on the rotation trade (with Biden stimulus the likely catalyst)</li>
<li>Timing of rotation jitters at the early innings of earnings season is unrelated to short-term cyclical earnings visibility, as cyclical sector revisions showed outstanding momentum going into Q4 reporting</li>
<li>Our cyclicals sentiment indicator has corrected from &gt;3x STDEV readings at year-end to neutral readings, with most of the correction taking place in the past 2 weeks</li>
<li>Absent broad negative momentum in associated thematic trades, this appears to be a pause rather than a decisive reversal</li>
</ul><div class="content-highlight"><p>TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary tool text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </p></div>


We saw cyclical &amp; value sentiment melt-up into year end with one last boost from the Georgia Blue Wave; but a tough COVID winter with new mobility restrictions appears to be putting the rotation on hold
Surprisingly, last week USD shorts increased to levels last seen in September, positioning for further progress on the rotation trade (with Biden stimulus the likely catalyst)
Timing of rotation jitters at the early innings of earnings season is unrelated to short-term cyclical earnings visibility, as cyclical sector revisions showed outstanding momentum going into Q4 reporting
Our cyclicals sentiment indicator has corrected from &gt;3x STDEV readings at year-end to neutral readings, with most of the correction taking place in the past 2 weeks
Absent broad negative momentum in associated thematic trades, this appears to be a pause rather than a decisive reversal
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary tool text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshot: Pullback in Rotation Trade on Mobility Restrictions, Just as USD Shorts Doubled Down

<ul>
<li>A nearly "V-shaped" recovery in the momentum of inflationary/reflationary expressions in the global financial media has played out since late October</li>
<li>This is in stark contrast to what we saw in late September, when our text mining identified signs of decelerating inflation expectations in the context of fading stimulus hopes and some trepidation over potential politicization of vaccine approval at the CDC (see <a href="https://www.smartkarma.com/insights/tmi-snapshots-more-signs-of-pressure-on-inflation-expectations-usd-upside-and-a-silver-lining" target="_blank" data-smartkarma-citation="insights:43560" rel="noopener">TMI Snapshots:  More Signs Of Pressure on Inflation Expectations, USD Upside, And A Silver Lining</a>); these trends coincided with a -26bps correction in 5yr breakevens, which have been range-bound since but are now poised to break out of their 3m range</li>
<li>The bottoming in inflationary/reflationary expressions was followed shortly after by a bottoming in the momentum of industrials sector sentiment relative to tech sentiment; this, in turn, was followed by a bottoming in the performance of value relative to growth, which took place nearly 2 weeks prior to the Pfizer vaccine news </li>
<li>Although inflation expectations were impacted by US stimulus and "Blue Wave" noise in October, vaccine sentiment was strongly correlated with breakevens through early October and this correlation appears to have been restored post-elections</li>
<li>The extraordinary magnitude of surprise at the Pfizer news is also evident in the Good Judgement Project's Superforecaster Survey (where an elite group of global superforecasters originating in the US intelligence community estimates the timing of vaccine availability); probability of near-term vaccine availability took a -30% hit in the first 3 weeks of October, and spiked +40% (!) in reaction to the news on Monday</li>
<li>As of today, our indicators see a return to absolute positive momentum in inflationary/reflationary expressions, while the recovery of industrials sentiment relative to tech is still seen to be at its very early innings; both themes clearly have significant room to run, and remain below levels seen as recently as September</li>
</ul>


A nearly "V-shaped" recovery in the momentum of inflationary/reflationary expressions in the global financial media has played out since late October
This is in stark contrast to what we saw in late September, when our text mining identified signs of decelerating inflation expectations in the context of fading stimulus hopes and some trepidation over potential politicization of vaccine approval at the CDC (see TMI Snapshots:  More Signs Of Pressure on Inflation Expectations, USD Upside, And A Silver Lining); these trends coincided with a -26bps correction in 5yr breakevens, which have been range-bound since but are now poised to break out of their 3m range
The bottoming in inflationary/reflationary expressions was followed shortly after by a bottoming in the momentum of industrials sector sentiment relative to tech sentiment; this, in turn, was followed by a bottoming in the performance of value relative to growth, which took place nearly 2 weeks prior to the Pfizer vaccine news 
Although inflation expectations were impacted by US stimulus and "Blue Wave" noise in October, vaccine sentiment was strongly correlated with breakevens through early October and this correlation appears to have been restored post-elections
The extraordinary magnitude of surprise at the Pfizer news is also evident in the Good Judgement Project's Superforecaster Survey (where an elite group of global superforecasters originating in the US intelligence community estimates the timing of vaccine availability); probability of near-term vaccine availability took a -30% hit in the first 3 weeks of October, and spiked +40% (!) in reaction to the news on Monday
As of today, our indicators see a return to absolute positive momentum in inflationary/reflationary expressions, while the recovery of industrials sentiment relative to tech is still seen to be at its very early innings; both themes clearly have significant room to run, and remain below levels seen as recently as September


TMI Snapshot: Update on Text-Mined Inflation Indicators & How They Line Up With the Value Rotation

<ul>
<li>Last week we highlighted a downward shift in US inflation expectations, and our diffusion index of inflationary vs. deflationary expressions continues to soften (see <a href="https://www.smartkarma.com/insights/tmi-snapshot-cross-currents-in-the-us-rental-market-hint-at-pausing-inflation-expectations" target="_blank" data-smartkarma-citation="insights:43259" rel="noopener">TMI Snapshot:  Cross-Currents In The US Rental Market Hint At Pausing Inflation Expectations)</a>
</li>
<li>We believe this shift is largely responsible for unwelcome USD strength and recent pressures on precious metals as well as the overall commodity complex (as noted in <a href="https://www.smartkarma.com/insights/tmi-indicators-gold-sentiment-seeking-catalysts-following-latest-leg-up-on-us-benefit-expiration" target="_blank" data-smartkarma-citation="insights:43356" rel="noopener">TMI Indicators: Gold Sentiment Seeking Catalysts Following Latest Leg Up On US Benefit Expiration</a>)</li>
<li>While our inflation expectations note focused on emerging pressures in the US rental market and their impact on TIPS inflation breakevens, we must acknowledge that the psychology behind the emerging consensus inflationary mindset went into overdrive when extraordinary open-ended QE was perceived to be augmented by continued massive fiscal support and accelerated COVID-19 vaccine news flow</li>
<li>Our text mining sees an unprecedented spike in US political divisions coinciding with a sharp step down in fiscal stimulus expectations, as well as lowered expectations on the near-term availability of a COVID-19 vaccine</li>
<li>With two pillars of the emerging inflationary mindset now broken, the underlying narrative is seeing significant near-term challenges</li>
<li>As a potential post-election silver lining, our text mining sees a shift in perceptions of a Biden win from potentially disinflationary to inflationary (as Biden tax implications are now seen as less onerous and infrastructure investment potentially larger)</li>
<li>As long as uncertainty on post-election outcomes lingers, we suspect disinflationary pressures drive elevated vol, a stronger USD, continued pullback in precious metals &amp; the broader commodities complex, and a near-term shift away from the incipient cyclical/value rotations</li>
</ul><div class="content-highlight"><p>TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </p></div>


Last week we highlighted a downward shift in US inflation expectations, and our diffusion index of inflationary vs. deflationary expressions continues to soften (see TMI Snapshot:  Cross-Currents In The US Rental Market Hint At Pausing Inflation Expectations)

We believe this shift is largely responsible for unwelcome USD strength and recent pressures on precious metals as well as the overall commodity complex (as noted in TMI Indicators: Gold Sentiment Seeking Catalysts Following Latest Leg Up On US Benefit Expiration)
While our inflation expectations note focused on emerging pressures in the US rental market and their impact on TIPS inflation breakevens, we must acknowledge that the psychology behind the emerging consensus inflationary mindset went into overdrive when extraordinary open-ended QE was perceived to be augmented by continued massive fiscal support and accelerated COVID-19 vaccine news flow
Our text mining sees an unprecedented spike in US political divisions coinciding with a sharp step down in fiscal stimulus expectations, as well as lowered expectations on the near-term availability of a COVID-19 vaccine
With two pillars of the emerging inflationary mindset now broken, the underlying narrative is seeing significant near-term challenges
As a potential post-election silver lining, our text mining sees a shift in perceptions of a Biden win from potentially disinflationary to inflationary (as Biden tax implications are now seen as less onerous and infrastructure investment potentially larger)
As long as uncertainty on post-election outcomes lingers, we suspect disinflationary pressures drive elevated vol, a stronger USD, continued pullback in precious metals &amp; the broader commodities complex, and a near-term shift away from the incipient cyclical/value rotations
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshots:  More Signs Of Pressure on Inflation Expectations, USD Upside, And A Silver Lining

United States

The S&P 500 Value Index is a market capitalization weighted index. All the stocks in the underlying parent index are allocated into value or growth. Stocks that do not have pure value or pure growth characteristics have their market caps distributed between the value & growth indices.

S&P 500 Value Index (SVX INDEX)

TMI Snapshot: Sentiment Surge on Biden Stimulus - What a Difference 3 Weeks Make

We have seen a +2x STDEV surge in sentiment on Biden's stimulus package and a record increase in coverage of infrastructure and clean energy...

Elan Gore

TMI Snapshot: Vaccine Sentiment Update - Early Signs of Improvement

After a surge in concerns related to the slow vaccine rollout in January, our text mining sees improvement on the margin in the past week, which...

Elan Gore

TMI Snapshot: Pullback in Rotation Trade on Mobility Restrictions, Just as USD Shorts Doubled Down

The cyclical & value rotation trade has paused, and this appears to be a function of the current wave of mobility restrictions, as our data suggests.

Elan Gore

TMI Snapshot: Update on Text-Mined Inflation Indicators & How They Line Up With the Value Rotation

A nearly "V-shaped" recovery in the momentum of inflationary/reflationary expressions in the global media has played out since late October, but...

Elan Gore

TMI Snapshots: More Signs Of Pressure on Inflation Expectations, USD Upside, And A Silver Lining

Last week we highlighted

Elan Gore